That's what I heard too. But immutable doesn't mean it can't pretend to be mutable. Just like string, there are probably process done in the background that you are not aware of. Such as a new object is created automatically with the newly updated value. I believe that is happening in this case. So you have to watch out both ways depending what the question is asking.
Wrappers are immutable. This was done so that you can use them in more than one context and not worry about them being changed.
With Java 5.0, there is now auto-boxing and auto-unboxing so that the increment operators now work on wrappers. What happens is that the wrapper is converted to a primitive, the incrementation is done and then the result is a new wrapper object.
My opinion is that I'd rather box and unbox myself but that's the way that it is now with Java 5+